I believe this is a part of Screenflow, which costs $99, but does have a trial available.

OS X does have a limited ability to do this, but it only shows modifier keys, like Shift, Ctrl, Command, etc. If you're interested in that, it's in System Preferences > Universal Access, under the Keyboard tab. Turn sticky keys on, and then push "Display pressed keys on screen". I don't think that's what you want, but you can check that out as well.